Existing literature suggests that conditional correlations between equity markets vary over time, and increase over periods of financial crises. I test this hypothesis on a set of eight national equity indices from the Asia-Pacific region on one hand, and the US market on the other. Tse (2000)...

We study correlations between the national REIT markets in the US and the four Asia-Pacific countries of Australia, Hong Kong, Japan and Singapore, and document the extent to which the time variation present in these correlations can be explained from a set of economic and financial factors....